Aqr Large Correlations

AUEIX Fund

USD 20.90 0.06 0.29%

The current 90-days correlation between Aqr Large Cap and Aqr International Defensive is 0.26 (i.e., Modest diversification). The correlation of Aqr Large is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Aqr Large Correlation With Market

Good diversification

The correlation between Aqr Large Cap and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Large Cap and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Aqr Large Cap. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Aqr Mutual Fund

0.73	QMORX	Aqr Large Cap	Pair Corr
0.76	AQGRX	Aqr Global Equity	Pair Corr
0.82	AQGNX	Aqr Global Equity	Pair Corr
0.81	AQGIX	Aqr Global Equity	Pair Corr
0.77	ASMOX	Aqr Small Cap	Pair Corr
0.71	ASMNX	Aqr Small Cap	Pair Corr
1.0	AUENX	Aqr Large Cap	Pair Corr

Moving against Aqr Mutual Fund

0.31

QSMRX

Aqr Small Cap

Pair Corr

Related Correlations Analysis

	ANDIX	MRFIX	AUENX	AQMIX	CIPIX
ANDIX		-0.35	0.16	0.59	-0.32	ANDIX
MRFIX	-0.35		-0.29	-0.42	0.2	MRFIX
AUENX	0.16	-0.29		0.43	0.71	AUENX
AQMIX	0.59	-0.42	0.43		0.03	AQMIX
CIPIX	-0.32	0.2	0.71	0.03		CIPIX
	ANDIX	MRFIX	AUENX	AQMIX	CIPIX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

CIPIX	+ 0.71	AUENX
AQMIX	+ 0.59	ANDIX
AQMIX	+ 0.43	AUENX
CIPIX	+ 0.2	MRFIX
AUENX	+ 0.16	ANDIX
CIPIX	+ 0.03	AQMIX

High negative correlations

AQMIX	- 0.42	MRFIX
MRFIX	- 0.35	ANDIX
CIPIX	- 0.32	ANDIX
AUENX	- 0.29	MRFIX

Risk-Adjusted Indicators

There is a big difference between Aqr Mutual Fund performing well and Aqr Large Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Aqr Large's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ANDIX	0.55	0.05	0.18	(0.39)	0.65	(0.59)	1.23	(0.96)	3.09
MRFIX	0.74	(0.10)	0.00	1.60	0.00	0.00	1.37	(1.72)	4.07
AUENX	0.86	(0.30)	0.00	2.10	0.00	0.00	0.96	(1.13)	18.34
AQMIX	0.54	0.06	0.22	(0.66)	0.53	(0.63)	1.15	(0.91)	2.46
CIPIX	0.91	(0.27)	0.00	0.96	0.00	0.00	1.36	(1.85)	10.29

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